Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0365
Annualized Std Dev 0.2380
Annualized Sharpe (Rf=0%) -0.1533

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.2521
Quartile 1 -0.0047
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0050
Maximum 0.3106
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0150
Skewness 0.4059
Kurtosis 72.4380

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0126
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0151
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.8103
Historical VaR (95%) -0.0175
Historical ES (95%) -0.0352
Modified VaR (95%) -0.0010
Modified ES (95%) -0.0010
From Trough To Depth Length To Trough Recovery
1999-07-16 2009-03-09 NA -0.8103 5456 2426 NA
1999-01-07 1999-02-26 1999-04-28 -0.0526 77 35 42
1999-05-05 1999-05-21 1999-06-18 -0.0292 32 13 19
1999-06-21 1999-06-21 1999-07-12 -0.0219 15 1 14
1999-01-05 1999-01-05 1999-01-06 -0.0075 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0.8 0.8 0.7 -0.7 0.7 0 0.8 0 -0.8 0.9 0.9 4.1
2000 0.9 0.9 0 0.9 2.6 0 0.8 0.8 0.9 0 1 -1 8.1
2001 0 1.8 0.6 1.2 0.4 0 -0.3 0 -0.5 0.6 0.2 0 4
2002 0.9 -0.2 -0.9 1.6 0.4 0 -2.4 1.1 0 0 1.2 0 1.7
2003 1.8 0.7 0.2 0.5 0.6 1 -4.7 1.2 1 0.4 0.3 -0.1 2.8
2004 -0.6 -0.1 2.2 1.4 2.7 0.9 0.5 0.3 0.4 0 1.2 -0.1 9.1
2005 -0.6 0 0.5 0.3 0.9 -0.3 0.3 0.6 -0.6 0.5 0.6 1.1 3.4
2006 0.3 0.1 0.2 0.3 0.1 0 0.3 0.6 -0.1 -0.3 -0.1 1 2.3
2007 0.5 -0.4 -0.4 0.4 0 0.4 -1.3 1.6 0.6 1.2 2.6 2.2 7.5
2008 0.2 -2.5 0.4 -0.2 -0.2 0.6 2.6 0.6 8 8.4 -0.7 0.4 18.4
2009 -1.3 0 3.6 4.5 2.1 0.7 1.2 0 -1.6 -4.6 1.4 -0.8 4.9
2010 0.3 1 0.7 -1.4 0.3 0.3 -0.6 1 0.5 0.5 0.8 0.3 3.5
2011 1 0.2 0.8 1.4 0.9 1.9 1 1.8 -2.1 -0.3 -1.8 0.8 5.7
2012 1.2 -1.2 -2.6 1 0 -2.6 0.2 0.5 0.7 1.2 -2.1 1.2 -2.7
2013 0 -0.9 0.2 -1.1 -1 0 0 1.3 -0.2 0.2 0.8 0 -0.8
2014 0 -0.2 -1 -0.2 0.2 -0.7 -0.3 0.3 -0.3 -0.3 -0.8 1.6 -1.6
2015 -0.3 -0.3 0.3 0.3 0.3 0 0.3 -0.6 -0.6 0.3 0.3 -0.3 -0.3
2016 -0.6 1.2 -0.3 0 -0.3 0.3 -0.3 -0.3 0.6 -0.3 0 0.6 0.7
2017 0.8 0.6 -0.1 0 0.5 0.2 -0.2 0.6 0.6 0.4 0.7 -0.3 3.9
2018 0 -0.3 -0.1 0.6 0.5 -0.4 0.4 0.2 0.3 0.6 -0.7 -1 0
2019 -0.2 -0.2 0.3 0.4 -2.3 -0.6 0.5 -0.5 0.1 0.2 -0.2 1.2 -1.4
2020 -0.5 -2.9 -2.8 -1.3 1 1.4 0 0.7 -0.1 -0.3 0.9 1.8 -2.4
2021 0.9 0.9 0.9 NA NA NA NA NA NA NA NA NA 2.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  24.9 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  24.8 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  24.9 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  24.8 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  24.6 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  24.8 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart